Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0036
Annualized Std Dev 0.1877
Annualized Sharpe (Rf=0%) -0.0193

Row

Daily Return Statistics

Close
Observations 3098.0000
NAs 1.0000
Minimum -0.0822
Quartile 1 -0.0066
Median 0.0000
Arithmetic Mean 0.0001
Geometric Mean 0.0000
Quartile 3 0.0069
Maximum 0.0640
SE Mean 0.0002
LCL Mean (0.95) -0.0004
UCL Mean (0.95) 0.0005
Variance 0.0001
Stdev 0.0118
Skewness -0.0600
Kurtosis 2.6435

Downside Risk

Close
Semi Deviation 0.0084
Gain Deviation 0.0079
Loss Deviation 0.0079
Downside Deviation (MAR=210%) 0.0136
Downside Deviation (Rf=0%) 0.0083
Downside Deviation (0%) 0.0083
Maximum Drawdown 0.3858
Historical VaR (95%) -0.0190
Historical ES (95%) -0.0264
Modified VaR (95%) -0.0190
Modified ES (95%) -0.0284
From Trough To Depth Length To Trough Recovery
2010-06-08 2011-05-03 2015-03-06 -0.3858 1195 229 966
2008-12-02 2009-11-25 2010-06-04 -0.3573 379 249 130
2015-03-16 2018-02-01 2020-02-12 -0.3149 1238 728 510
2020-03-23 2021-01-06 NA -0.2567 252 201 NA
2020-02-21 2020-03-09 2020-03-19 -0.1178 20 12 8

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2008 NA NA NA NA NA NA NA NA NA NA 0.9 3.1 4
2009 3.4 0.6 0.3 -0.5 -0.1 -1.7 -2.8 1.8 1.3 1.6 -0.9 0.1 2.8
2010 -1 0.8 -1.3 -1.1 0.7 -4.9 0.8 -2.1 -2.2 0.5 -2.4 -1.1 -12.6
2011 -2.1 0.4 -0.8 2.7 0.8 -0.3 1.5 1.3 2.9 2.1 -0.4 0.4 8.6
2012 -1.2 0.2 -0.7 0.1 -1 -3.3 1.3 -1.2 -0.5 0.3 -0.4 0.4 -6
2013 -1.1 0.5 -0.4 -0.2 0.7 -0.8 1.5 0.4 -0.2 1.3 -0.1 0.8 2.4
2014 0.9 -1.3 -0.4 -0.1 -0.5 0.3 -0.4 0.8 0.3 1.3 -0.6 1 1.3
2015 0.4 0.2 -0.2 0.4 1.1 1.7 -0.9 -1.4 -0.2 -0.3 -1.3 1.1 0.6
2016 -1.2 0.2 -0.2 -1.7 -1.2 -0.7 0.2 -0.7 -0.3 -1.4 -1.2 -0.7 -8.7
2017 0.4 0.9 0.2 -0.2 0.3 0.5 0.6 0.8 -0.7 0.4 0.3 -1 2.6
2018 -1.6 -1.1 -0.1 1.5 0.7 -1.9 0.5 1.1 0.5 -1.4 1.3 -0.2 -0.8
2019 -0.2 0.2 0.1 0.3 -0.6 1.5 -0.3 1.1 -0.7 -0.4 -0.2 0.4 1.1
2020 -1 -1.1 1.6 -0.5 -0.8 -0.3 1.2 0.7 -0.4 0.2 -2.6 1.2 -1.8
2021 1.4 0.4 0.1 NA NA NA NA NA NA NA NA NA 2

Row

Price Chart

Row

Rolling Performance Chart

Row

Snail Trail Chart